View source: R/parametric_tests.R
patell | R Documentation |
An event study parametric test described in Patell 1976.
patell(list_of_returns, event_start, event_end)
list_of_returns |
a list of objects of S3 class |
event_start |
an object of |
event_end |
an object of |
Performs a parametric test for event study, which is described in Patell 1976, which is called standardized-residuals method in Boehmer 1991. Test's assumptions are a cross-sectional independence and an insignificance of an event-induced variance. The standardization smooths the effect of the event-induced variance comparing to Brown and Warner tests. Also standardization incorporates the situation, when a highly volatile security dominates the test. The test examines the hypothesis whether the theoretical cross-sectional expected value for a given day is equal to zero. It calculates statistics even if event window and estimation period are overlapped (intersect). The critical values are standard normal. The significance levels of α are 0.1, 0.05, and 0.01 (marked respectively by *, **, and ***).
A data frame of the following columns:
date
: a calendar date
weekday
: a day of the week
percentage
: a share of non-missing observations for a given
day
mean
: an average abnormal return
pt_stat
: a Patell's test statistic
pt_signif
: a significance of the statistic
Patell J.M. Corporate forecasts of earnings per share and stock price behavior: empirical tests. Journal of Accounting Research, 14(2):246- 276, 1976.
Boehmer E., Musumeci J., Poulsen A.B. Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2):253-272, 1991.
parametric_tests
, brown_warner_1980
,
brown_warner_1985
, t_test
, and
boehmer
, and lamb
.
## Not run: library("magrittr") rates_indx <- get_prices_from_tickers("^GSPC", start = as.Date("2019-04-01"), end = as.Date("2020-04-01"), quote = "Close", retclass = "zoo") %>% get_rates_from_prices(quote = "Close", multi_day = TRUE, compounding = "continuous") tickers <- c("AMZN", "ZM", "UBER", "NFLX", "SHOP", "FB", "UPWK") get_prices_from_tickers(tickers, start = as.Date("2019-04-01"), end = as.Date("2020-04-01"), quote = "Close", retclass = "zoo") %>% get_rates_from_prices(quote = "Close", multi_day = TRUE, compounding = "continuous") %>% apply_market_model(regressor = rates_indx, same_regressor_for_all = TRUE, market_model = "sim", estimation_method = "ols", estimation_start = as.Date("2019-04-01"), estimation_end = as.Date("2020-03-13")) %>% patell(event_start = as.Date("2020-03-16"), event_end = as.Date("2020-03-20")) ## End(Not run) ## The result of the code above is equivalent to: data(securities_returns) patell(list_of_returns = securities_returns, event_start = as.Date("2020-03-16"), event_end = as.Date("2020-03-20"))
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